Let's start by answering, what's tension?
It seems some people deliberately leave it vague as they don't specify if it is "romantic tension" or "sexual tension." So, we're going to briefly explore both concepts to see if we find either something from other premises that doesn't belong in NaLu, or something matching their relationship and growth so far.
Let's start by assuming shippers use the term as Romantic Tension
There are a lot of concepts and factors involved, but to make it simple we can define "romantic tension" as the anticipation produced by the way two characters gravitate towards each other before their eventual relationship upgrade. Such interactions usually have some uniqueness to them, and depending on the writer and the characters, it may include a mix of both nervousness and excitement.
We have to make clear appearing in the panel/frame or having the same reaction to certain things or events is not 'gravitating toward each other,' so those scenes don't count as "tension."
What does count as romantic tension?
So, which girl does Natsu gravitate towards the most?
It's kinda hard to miss that since the story started Natsu, slowly but surely, developed a strong attachment to Lucy. It started with Natsu doing what he never did during his whole life in the guild: form a team
They kept growing so close they eventually got the point that he sticks to her, even when having the choice to make up for the lost time with his childhood friend by the time of the GMG arc...
Bonus points for Lucy getting both a little blushed while overjoyed when she got to know about it. The story also highlights that the one who, more often than not, stays in Lucy's house and patiently waiting for her return...
He tends to go to Lucy's home more often that anyone else, and that special chapter revealed he just does it because he wants to be her.
Also, who was the first person he wanted to go with him to battle Hades?
...and as Lisanna predicted, he even drew strength from the fact Lucy was by his side even when everyone else was losing hope
Before the Alvarez battle started, who did Natsu choose to spend the night with?
The one who actually got him to talk about the future and rationalize the thrill he feels in battle was Lucy. More often than not, Natsu tends to gravitate towards her, and that's part of the reason why some of the most meaningful moments come up naturally without any of them being out of character. So, we can say there's some sort of tension there
But, what about Lucy?
Well, after sharing so much with Natsu she began to feel attached to him too. But, the most notable showings are the ones who showcase the emotional chemistry between the characters. Think about this: who did she turned when needing relief...
At the finale of the GMG arc, who did she run to when overwhelmed by, according to the narrative, a warm feeling dwelling in her chest?
Her first impulse was going to Natsu, and it doesn't feel forced at all given the context around the moment; feeling trascending space and time, but ultimately Lucy's own feelings, draw her to Natsu. Before the guild disbanded, who did Lucy run after?
Notice that despite having many guildmates, who are practically her family, it's the prospect of Natsu's absence what would make her feel lonely even if the guild were to be there for her. Still, after the disbandment was announced, she didn't run after any other guild member.
Who did she stick to after the events of HEROs? Who did she seek to prank her new friend? And who did she stay with the rest of their time?
It should be clear by now that the one person Lucy gravitates towards the most is Natsu. So, it's only logical to conclude there's "tension" between them as these unique interactions create some sort of suspense or hype around their bond and its potential to grow and evolve.
Still, we have another term to cover: Sexual Tension
It's not the first time I tackled this subject. Sexual tension occurs when two characters have sexual desires for each other, but they either hold back or never act on those urges. It's also used to create anticipation, since the only resolve that tension is for the character to get "intimate" with the person they desire
Ok, it sounds crazy given the manga already told us that neither Natsu or Lucy have much experience with love, as well as how their responses to the subject. E.g. recall how Lucy reacts to the prospect of having a child with Natsu?
But, we can use a loophole: Drunk Lucy. It started in a OVA, made it into the manga, and stayed here with us.
When Lucy gets drunk, the only target of her rather suggestive "affection" is Matsu
As for Natsu. Oddly enough, it's difficult to find Natsu "horny" even during fanservice involving NaLu. Some omakes may do the trick. But, the closest thing we got in the main storyline is feeling "good" when having Yokai Lucy firmly wrapped around him:
If we were to use those rare moments, we could say Natsu may be attracted to Lucy in more ways than one. So, despite how oblivious Natsu is, and how shy Lucy gets with the subject at hand, it's possible to argue there's some sort of "tension" in this regard
But, this is merely a small bonus. The true strength of NaLu is in the first kind of tension mentioned here, which is further enhanced by the solid chemistry they have
A lively and exciting dynamic made even more special due to the emotional attachment they cultivated for one another
Bonus:
Still, it's actually interesting shippers use similar arguments to promote premises that contradict NaLu. It's not uncommon to find fans claiming that NaLu will be canon because Mashima said so, and because Juvia survived the Alvarez arc, while stating Lucy has "tension" with other guy(s).
So, if Mashima hadn't commented on Natsu and Lucy being the most "suitable" paring, and/or had Juvia died on the Alvarez arc, then NaLu wouldn't have a chance? Does the pairing depends on author's commentary and Juvia's well-being? That makes NaLu sound forced
And when it comes to the claims of tension. Recall the definition(s)? So, according to shippers, Lucy will end up with Natsu, but she gravitates towards someone else, probably because she feels sexual desire for this person, and the only way to resolve that kind of tension is having sex with the other guy... That doesn't make any sense
The issue is that Natsu doesn't fit the romantic cliché several shippers want. He's too quirky and dorky, he doesn't throw corny or cheesy one-liners, and he's not actively seeking romance for he's inexperienced in that particular field. But, even without clichés, he bonded with Lucy to the point of being completely comfortable with the child he could potentially have with Lucy: Nasha
To the point of offering most of what a relationship needs to grow into something stronger and deeper, as explained in another analysis, Natsu provides Lucy with a sense of adventure that brings her joy and excitment as well as giving her both emotional and practical support
All of these are traits that make romantic relationships prosper. The more you break down the reasoning shippers present, the less sense it makes. For example, did Natsu's meaningful gestures to Lucy depended on Mashima's commentary?
Did their most powerful moments happened only because Juvia served as some sort of deterrent to other premises?Shippers may say or imply that's case. But, what the author's works convey is something entirely different. Their bond is stronger, not because of Juvia or interviews, its strength comes from the chemistry they built through the profound effect the had on each other. The tension they have, it's only there to keep us waiting for their eventual relationship upgrade.